Windows Azure as a Platform as a Service (PaaS) means that there are various components you can use in it to solve a problem:
Compute “Roles” - Computers running an OS and optionally IIS - you can have more than one ''Instance'' of a given Role
Storage - Blobs, Tables and Queues for Storage
Other Services - Things like the ...

Current as of 08/01/2011 - Check the Resources listed below for more up-to-date information on this topic
Background:
Security for any computing platform involves three primary areas: Principals (users or programmatic access to an asset or other program) Securables (objects, data or programs that can be accessed) Channels (methods of ...